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Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets
16 references·0 citing·41 second hop
Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets (2019)Volatility spillovers under difference in…Volatility spillover shifts in global financial markets (2018)Volatility spillover shifts i…Integration of emerging stock markets with global stock markets (2015)Integration of emerging stock…Islamic equity market integration and volatility spillover between emerging and US stock markets (2014)Islamic equity market integra…The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets (2012)The global financial crisis, …Stock market integration and volatility spillover: India and its major Asian counterparts (2010)Stock market integration and …Stock market integration in ASEAN after the Asian financial crisis (2005)Stock market integration in A…Market Integration and Contagion (2005)Market Integration and Contag…Emerging markets finance (2003)Emerging markets financeMeasuring financial and economic integration with equity prices in emerging markets (2002)Measuring financial and econo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Emerging equity market volatility (1997)Emerging equity market volati…Measurement of Market Integration and Arbitrage (1995)Measurement of Market Integra…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)A New Approach to Measuring Financial Contagion (2003)Common stochastic trends in international stock markets (1992)Cronyism and capital controls: evidence from Malaysia (2002)Stock market linkages: Evidence from Latin America (2002)Assessing financial market integration in Asia – Equity markets (2010)Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis (2014)The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)The Pricing of Options and Corporate Liabilities (1973)The arbitrage theory of capital asset pricing (1976)Martingales and arbitrage in multiperiod securities markets (1979)Assessing Specification Errors in Stochastic Discount Factor Models (1997)Long-Term Global Market Correlations (2001)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)Corporate Governance and Expected Stock Returns: Evidence from Germany (2004)Characterizing World Market Integration through Time (2007)Finance and inequality: Channels and evidence (2007)Econometric Analysis of Cross Section and Panel Data (2001)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Multivariate GARCH models: a survey (2006)Foreign Speculators and Emerging Equity Markets (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asymmetric correlations of equity portfolios (2002)
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  • 2018

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Volatility spillover shifts in global financial markets
118 cited
  • 2015Integration of emerging stock markets with global stock markets105 cited
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